| Publication | Date of Publication | Type |
|---|
Unified moment-based modeling of integrated stochastic processes
Operations Research | 2024-09-05 | Paper |
Technical note -- On matrix exponential differentiation with application to weighted sum distributions
Operations Research | 2022-09-19 | Paper |
General closed-form basket option pricing bounds
Quantitative Finance | 2021-07-16 | Paper |
| Solution of Wiener-Hopf and Fredholm integral equations by fast Hilbert and Fourier transforms | 2021-06-09 | Paper |
Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models
Insurance Mathematics & Economics | 2021-03-17 | Paper |
General lattice methods for arithmetic Asian options
European Journal of Operational Research | 2020-01-23 | Paper |
Hilbert transform, spectral filters and option pricing
Annals of Operations Research | 2020-01-20 | Paper |
Hilbert transform, spectral filters and option pricing
Annals of Operations Research | 2020-01-20 | Paper |
A market-consistent framework for the fair evaluation of insurance contracts under Solvency II
Decisions in Economics and Finance | 2019-10-23 | Paper |
Approximate pricing of swaptions in affine and quadratic models
Quantitative Finance | 2018-11-19 | Paper |
Integrated structural approach to credit value adjustment
European Journal of Operational Research | 2018-10-30 | Paper |
Correction to: ``Exchange option under jump-diffusion dynamics
Applied Mathematical Finance | 2018-09-18 | Paper |
Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts
Insurance Mathematics & Economics | 2018-08-28 | Paper |
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
European Journal of Operational Research | 2018-07-25 | Paper |
Electricity forward curves with thin granularity: theory and empirical evidence in the hourly EPEXspot market
European Journal of Operational Research | 2018-05-29 | Paper |
Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
European Journal of Operational Research | 2016-10-07 | Paper |
Pricing exotic derivatives exploiting structure
European Journal of Operational Research | 2016-06-23 | Paper |
General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
Mathematics of Operations Research | 2016-05-19 | Paper |
Pricing credit derivatives in a Wiener-Hopf framework
Topics in Numerical Methods for Finance | 2014-09-29 | Paper |
Z-Transform and preconditioning techniques for option pricing
Quantitative Finance | 2014-01-24 | Paper |
Pricing discretely monitored Asian options by maturity randomization
SIAM Journal on Financial Mathematics | 2011-06-21 | Paper |
Option pricing, maturity randomization and distributed computing
Parallel Computing | 2010-09-02 | Paper |
THE WIENER-HOPF TECHNIQUE AND DISCRETELY MONITORED PATH-DEPENDENT OPTION PRICING
Mathematical Finance | 2010-04-22 | Paper |
Analysis of quadrature methods for pricing discrete barrier options
Journal of Economic Dynamics and Control | 2009-05-18 | Paper |
Pricing financial claims contingent upon an underlying asset monitored at discrete times
Journal of Engineering Mathematics | 2008-03-12 | Paper |
Implementing models in quantitative finance: methods and cases
Springer Finance | 2008-02-28 | Paper |
An exact analytical solution for discrete barrier options
Finance and Stochastics | 2006-05-24 | Paper |
AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS
International Journal of Theoretical and Applied Finance | 2005-06-22 | Paper |
Corridor options and arc-sine law.
The Annals of Applied Probability | 2004-10-27 | Paper |
Dynamic value at risk under optimal and suboptimal portfolio policies.
European Journal of Operational Research | 2001-01-01 | Paper |
